Hello everyone,
I have a brief question regarding the partial out function in the ivreg2 command. In particular, I want to obtain the predictive values from my estimated instrumental variable (IV) model. However, as I read in the help file of the ivreg2 command, it is not possible that the post-estimation command “predict” can be used straightforwardly to generate predictive values, if the partial option is used (see also the paper by Baum et al. 2007). Therefore, I would like to know how I can obtain the predictive values while using the partial out command in an IV regression?
If I understand it correctly, the partialling out option doesn’t change the coefficients of the regressors but adjusts the model F and the R-Square accordingly. Is it therefore legitimate to estimate the model without the partial out command and to generate the predictive values? But in the description of the results I would report the model F and R-Square, which I obtained from the model estimated with the partial out command.
Would the outlined approach be possible or is there another way to obtain the predictive values in that case?
Thank you in advance.
Best
Michael
References:
Baum, C. F., Schaffer, M. E., & Stillman, S. (2007). Enhanced routines for instrumental variables/GMM estimation and testing. Stata Journal, 7(4), 465-506.
I have a brief question regarding the partial out function in the ivreg2 command. In particular, I want to obtain the predictive values from my estimated instrumental variable (IV) model. However, as I read in the help file of the ivreg2 command, it is not possible that the post-estimation command “predict” can be used straightforwardly to generate predictive values, if the partial option is used (see also the paper by Baum et al. 2007). Therefore, I would like to know how I can obtain the predictive values while using the partial out command in an IV regression?
If I understand it correctly, the partialling out option doesn’t change the coefficients of the regressors but adjusts the model F and the R-Square accordingly. Is it therefore legitimate to estimate the model without the partial out command and to generate the predictive values? But in the description of the results I would report the model F and R-Square, which I obtained from the model estimated with the partial out command.
Would the outlined approach be possible or is there another way to obtain the predictive values in that case?
Thank you in advance.
Best
Michael
References:
Baum, C. F., Schaffer, M. E., & Stillman, S. (2007). Enhanced routines for instrumental variables/GMM estimation and testing. Stata Journal, 7(4), 465-506.
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